Discrete Time Markov Reward Processes a Motor Car Insurance Example

Guglielmo D’ Amico, Jacques Janssen, Raimondo Manca

Jacan &, EURIA, Université de Bretagne Occidentale, 6 avenue le Gorgeu, Brest, France.
Università “G. D’Annunzio” di Chieti, Dip. di Scienze del Farmaco, via dei Vestini, Chieti, Italy.
Università “La Sapienza”, Dip. di Matematica per le Decisioni Economiche, Finanziarie ed Assicurative, via del Castro Laurenziano, Roma, Italy.

DOI: 10.4236/ti.2010.12016                

Abstract

In this paper, a full treatment of homogeneous discrete time Markov reward processes is presented. The higher order moments of the homogeneous reward process are determined. In the last part of the paper, an application to the bonus-malus car insurance is presented. The application was constructed using real data.

Keywords

Markov Rewards Processes, Higher Order Moments, Bonus-Malus Systems

Conflicts of Interest

The authors declare no conflicts of interest.

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